dc.description.abstract | Explore the relationship between TSE, OTC, and Taiwan VIX, and verify the benefits of investing in Taiwan stocks with backtesting. In this paper, Unit Root Test of the time series is used to determine whether the data is in a stationary state, and then the Johansen Cointegration Test is used to evaluate whether there is a long-term equilibrium relationship. If so, run the regression with the Vector Error Correction Model. For the regression results, Granger Causality Test, Variance Decomposition, and Impulse Response Function are used to measure the relationship between the three variables. The results of this time series are then used as the anchor point for the backtesting verification, and the Buffett′s Stock Selection Method is used as the stock selection standard. The investment strategy is Buy and Hold, and Band Trade. TSE, OTC, and Taiwan VIX are 36 investment portfolios of entry and exit factors. Backtesting is used to verify the benefits of investing in Taiwan stocks for these three variables.
The research results of time series, the VECM shows that OTC and VIX have a long-term relationship with TSE, VIX has a negative long-term relationship with TSE, and OTC has a long-term positive relationship with TSE. According to the Granger Causality Test, TSE and VIX have a two-way feedback causal relationship; TSE has a one-way leading causal relationship with OTC. According to IRF, the TSE and VIX have the most intense feedback when facing the collision from themselves, while the OTC is the most violently impacted by the TSE; there is indeed a long-term negative relationship between the VIX and the TSE; the TSE has a highly significant impact on the OTC throughout the process. .
All listed OTC stocks are anchored by time series research, and the conclusion of XQ backtesting is that TSE does have a high-strength positive relationship with OTC, and one-way leading causality. In the part of backtesting only for listed companies, TSE is the factor with the highest ROI, which is completely consistent with the analysis of time series Granger Causality Test and IRF. After summing up the "Return rate of Summation" of the three factors respectively, it reflects that due to different investment strategies and entry timings, OTC exogenous variables are the weakest, but they can still be used in an effective investment portfolio. From the data of time-weighted rate of return interpretation, it can be seen that all factors TSE, VIX, OTC are inevitably affected by the general trend, and consistently have better and worse rates of return. Therefore, it can be understood that TSE, VIX, and OTC factors have an impact on investment performance, but the impact of the general environmental trend is more significant. | en_US |